derivmkts 0.2.2

• Functions for compound options (call on call, call on put, etc.)

• Binomplot: Option for log y axis

• New vignette discussing alternative ways to write vectorized functions

derivmkts 0.2.1

• Binomopt

  • Fixed: default dn=1.5 in binomopt and binomplot
  • Added "returnprice" parameter to binomplot
• greeks
  • Simplification of Greeks discussion in README.Rmd
  • Greeks function ignores theta when appropriate (perpetual options)

• callperpetual and putperpetual functions added to barriers.R

• Asian options

  • Added individual geomavgpricecall, geomavgpriceput, geomavgstrikecall, and geomavgstrikeput functions.
  • Fixed greeks functionality for asian options

derivmkts 0.2.0

• First CRAN release

• Completed vignette

derivmkts 0.1.3.9000

• added simple bond functions (yield, pv, duration, convexity)

• fixed problem with vectorization in barrier options

derivmkts 0.1.2.9000

• Added Asian pricing files

derivmkts 0.1.1.9000

• Greeks (delta, gamma, theta, added to binomial output)

• With returntrees=TRUE, returns replicating portfolio components ($bond and $delta)

derivmkts 0.1.0.9000

• Added binomial pricing via binomopt and plotting of the binomial tree with binomplot

derivmkts 0.0.0.9000

First version. Includes:

• basic Black-Scholes functions and Greeks

• barrier pricing

• implied volatility

• quincunx (Galton board) function to illustrate the central limit theorem